Research Article
AN EMPIRICAL STUDY ON THE MEASUREMENT OF SUKUK PERFORMANCE COMPARED TO BONDS, EXCHANGE RATE AND BİST100
Abstract
References
- Kaynaklar Ahmed, H., Elsayed, A.H., (2019). Are Islamic And Conventional Capital Markets Decoupled? Evidence From Stock And Bonds/Sukuk Markets İn Malaysia. Quarterly Rev. Econ. Fin. 74, 56–66.
- Aktaş, M. M., (2016), Ortaklığa Dayalı İslâmî Yapılandırılmış Fınansman Ürünü: Muşaraka Sukuk, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi / Dumlupınar University Journal of Social Sciences, Afro-Avrasya Özel Sayısı-Aralık 2016 467-487
- Al-Khazali, O., Lean, H.H., Samet, A., (2014). Do Islamic Stock İndexes Outperform Conventional Stock İndexes? A Stochastic Dominance Approach. Pac. Basin Financ. J. 28, 29–46.
- Al-Yahyaee, K.H., Mensi, W., Rehman, M.U., Vo, X.V., Kang, S.H.(2020) “Do Islamic Stocks Outperform Conventional Stock Sectors During Normal And Crisis Periods? Extreme Co-Movements And Portfolio Management Analysis” Pacific-Basin Finance Journal 62 (2020) 101385
- Al-Zoubi, H., Maghyereh, A., (2007). The Relative Risk Performance Of Islamic Finance: A New Guide To Less Risky Investments. Int. J. Theoretical Appl. Finance 10, 235–249.
- Azmat, S., Skully, M., Brown, K.,(2014). Issuer's Choice Of Islamic Bond Type, Pacific-Basin Finance Journal 28 (2014) 122–135
- Bauer, R., Koedijk, K., Otten, R., (2005). International Evidence On Ethical Mutual Fund Performance And İnvestment Style. J. Banking Finance 29, 1751–1767.
- Chen, H.H., Yang, C.B., Peng, Y.H., (2014), The Trading On The Mutual Funds By Gene Expression Programming with Sortino Ratio, Applied Soft Computing, 15 219–230
- Chong, B.S., Liu, M.H., (2009). Islamic Banking: Interest-Free Or Interest-Based? Pac. Basin Financ. J. 17, 125–144.
- Cogneau, P., Hübner, G., (2009), The 101 Ways to Measure Portfolio Performance, Available at SSRN: https://ssrn.com/abstract=1326076 or http://dx.doi.org/10.2139/ssrn.1326076
- Çebi, A., Ünkaya, G. (2018), Finansman Modeli Olarak Murabaha Sukuk: Türkiye’deki Uygulaması Ve Muhasebeleştirilmesi, İstanbul Aydın Üniversitesi Dergisi - ISSN: 1309-1352, Yıl: 2018 Cilt 10 Sayı 4 s:9-23
- Elfakhani, S., M. K. Hassan., Y. Sidani. (2005). Comparative Performance Of Islamic Versus Secular Mutual Funds. Paper presented at the 12th Economic Research Forum Conference in Cairo, Egypt, December 19-21.
- Fischer, D.E, Jordan, R.J., (1995), Security Analysis and Portfolio Management, 6. Edition, Prentica Hall, Englewood Cliffs, New Jersey, pp: 665-675.
- Girard, E., Hassan, K., (2005). Faith-Based Ethical İnvesting: The Case Of Dow Jones Islamic İndexes. Proceedings of the Malaysian Finance Association (MFA) Conference.
- Jawadi F., Jawadi N., Louhichi W. (2014). “Conventional And Islamic Stock Price Performance: An Empirical İnvestigation” International Economics 137 (2014) 73–87
- Hammoudeh, S., Mensi, W., Reboredo, J.C., Nguyen, D.K., (2014). Dynamic Dependence Of The Global Islamic Equity İndex With Global Conventional Equity Market İndices And Risk Factors. Pac. Basin Finance Journal. 30, 189–206.
- Hassan, K., Girard, E., (2011). Faith-Based Ethical Investing: The Case Of Dow Jones Islamic Indexes. Networks Financial Institute Working Paper No. 2011-WP-06, 19 Apr 2011 s:1-41
- Hussein, K., Omran, M., (2005). Ethical İnvestments Revisited: Evidence From Dow Jones Islamic Indices. Journal of Investing Volume 14, Issue 3, Pages 105-124
- Hassan, M. K., Paltrinieri, A., Dreassi, A., Miani, S., Sclip, A. (2018) “The Determinants Of Co-Movement Dynamics Between Sukuk Andconventional Bonds” The Quarterly Review of Economics and Finance 68 (2018) 73–84
- Majdoub, J., Mansour, W., (2014). Islamic Equity Market İntegration And Volatility Spillover Between Emerging And US Stock Markets. N. Am. J. Econ. Finance http://dx.doi.org/10.1016/j.najef.2014.06.011.
- Özsoy, İ. (2016), An Islamic Suggestion Of Solution To The Financial Crises, Procedia Economics and Finance 38 ( 2016 ) 174 – 184
- Paltrinieri, A., Hassan M.K., Bahoo S., Khan, A.(2019), A Bibliometric Review Of Sukuk Literatüre, International Review of Economics and Finance https://doi.org/10.1016/j.iref.2019.04.004
- Shamsuddin, A., (2014). Are Dow Jones Islamic Equity İndices Exposed To Interest Rate Risk? Economic Modelling 39, 273–281.
- Sharpe, W.F., (1965), Mutual Fund Performance, The Journal of Business, vol. 39, pp: 119-138 http://dx.doi.org/10.1086/294846 (Erişim tarihi: 15.12.2020)
- Sortino, F. A., Price, L.N. (1994), Performance Measurement In A Downside Risk Framework, The Journal of Investing Fall 1994, 3 (3) 59-64; DOI: https://doi.org/10.3905/joi.3.3.59
- Sümer, Eren (2020), Sukukun Dünyada ve Türkiye’de Gelişimi. T.C. Cumhurbaşkanlığı Strateji ve Bütçe Başkanlığı, Uzmanlık Tezi, Nisan 2020. Yayın No: 0016
- Yusof, R. M., & Majid, S. A. (2007). Stock Market Volatility Transmission İn Malaysia: Islamic Versus Conventional Stock Market. Journal of King Abdulaziz University: Islamic Economics, 20(2), 17–35.
- AAOIFI, (2008), Sukuk Resolution http://www.aaoifi.com/aaoifi_sb_sukuk_Feb2008_Eng.pdf Erişim tarihi: 04.12.2020
- Kamu Borç Yönetimi Raporu (2020), T.C. Hazine ve Maliye Bakanlığı, Erişim Tarihi: 04.01.2021 https://ms.hmb.gov.tr/uploads/2020/12/2020-KBYR-TRK-20201229_v3.pdf
TÜRKİYE’DE KİRA SERTİFİKALARININ TAHVİL, DÖVİZ KURU VE BİST100 İLE KARŞILAŞTIRMALI PERFORMANS ÖLÇÜMÜ ÜZERİNE AMPİRİK BİR ÇALIŞMA
Abstract
Öz
Literatürdeki çalışmalar daha çok İslami endekslerle konvansiyonel endeksler, İslami hisse senetleri ile geleneksel akranları ve sukuklarla geleneksel tahvillerin karşılaştırılması şeklinde iken, bu çalışmada farklı olarak İslami tahvil (kira sertifikası) ile 2 yıllık devlet tahvili, döviz kuru ve BİST100 endeksinin performans oranları karşılaştırılmıştır. Bu çalışmanın amacı, “kira sertifikasının faiz, döviz kuru ve hisse senedi piyasasından kaynaklanan risklere karşı korunaklı ve portföyde dengeleyici bir finansal varlık olabilir mi?” sorusuna cevap bulmaktır. Çalışmada 2006-2020 dönemi için Sharpe, Bilgi ve Sortino performans oranları kullanılarak kira sertifikasının, 2 yıllık tahvil faiz oranının, ABD doları/TL döviz kuru ve BİST100 endeksinin performans ölçümleri yapılmış ve analiz edilmiştir. Elde edilen bulgulara göre, analiz edilen 5 dönemden dördünde elde edilen performans oranları açısından, kira sertifikası fonunun hisse senetleri, döviz kuru ve faiz oranı riskine karşı korunaklı bir yapıya sahip oldukları görülmektedir. Bu durum özellikle 2. dönem olan 2008-2010 küresel kriz ve sonrası toparlanma döneminde daha bariz olarak görülmektedir.
References
- Kaynaklar Ahmed, H., Elsayed, A.H., (2019). Are Islamic And Conventional Capital Markets Decoupled? Evidence From Stock And Bonds/Sukuk Markets İn Malaysia. Quarterly Rev. Econ. Fin. 74, 56–66.
- Aktaş, M. M., (2016), Ortaklığa Dayalı İslâmî Yapılandırılmış Fınansman Ürünü: Muşaraka Sukuk, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi / Dumlupınar University Journal of Social Sciences, Afro-Avrasya Özel Sayısı-Aralık 2016 467-487
- Al-Khazali, O., Lean, H.H., Samet, A., (2014). Do Islamic Stock İndexes Outperform Conventional Stock İndexes? A Stochastic Dominance Approach. Pac. Basin Financ. J. 28, 29–46.
- Al-Yahyaee, K.H., Mensi, W., Rehman, M.U., Vo, X.V., Kang, S.H.(2020) “Do Islamic Stocks Outperform Conventional Stock Sectors During Normal And Crisis Periods? Extreme Co-Movements And Portfolio Management Analysis” Pacific-Basin Finance Journal 62 (2020) 101385
- Al-Zoubi, H., Maghyereh, A., (2007). The Relative Risk Performance Of Islamic Finance: A New Guide To Less Risky Investments. Int. J. Theoretical Appl. Finance 10, 235–249.
- Azmat, S., Skully, M., Brown, K.,(2014). Issuer's Choice Of Islamic Bond Type, Pacific-Basin Finance Journal 28 (2014) 122–135
- Bauer, R., Koedijk, K., Otten, R., (2005). International Evidence On Ethical Mutual Fund Performance And İnvestment Style. J. Banking Finance 29, 1751–1767.
- Chen, H.H., Yang, C.B., Peng, Y.H., (2014), The Trading On The Mutual Funds By Gene Expression Programming with Sortino Ratio, Applied Soft Computing, 15 219–230
- Chong, B.S., Liu, M.H., (2009). Islamic Banking: Interest-Free Or Interest-Based? Pac. Basin Financ. J. 17, 125–144.
- Cogneau, P., Hübner, G., (2009), The 101 Ways to Measure Portfolio Performance, Available at SSRN: https://ssrn.com/abstract=1326076 or http://dx.doi.org/10.2139/ssrn.1326076
- Çebi, A., Ünkaya, G. (2018), Finansman Modeli Olarak Murabaha Sukuk: Türkiye’deki Uygulaması Ve Muhasebeleştirilmesi, İstanbul Aydın Üniversitesi Dergisi - ISSN: 1309-1352, Yıl: 2018 Cilt 10 Sayı 4 s:9-23
- Elfakhani, S., M. K. Hassan., Y. Sidani. (2005). Comparative Performance Of Islamic Versus Secular Mutual Funds. Paper presented at the 12th Economic Research Forum Conference in Cairo, Egypt, December 19-21.
- Fischer, D.E, Jordan, R.J., (1995), Security Analysis and Portfolio Management, 6. Edition, Prentica Hall, Englewood Cliffs, New Jersey, pp: 665-675.
- Girard, E., Hassan, K., (2005). Faith-Based Ethical İnvesting: The Case Of Dow Jones Islamic İndexes. Proceedings of the Malaysian Finance Association (MFA) Conference.
- Jawadi F., Jawadi N., Louhichi W. (2014). “Conventional And Islamic Stock Price Performance: An Empirical İnvestigation” International Economics 137 (2014) 73–87
- Hammoudeh, S., Mensi, W., Reboredo, J.C., Nguyen, D.K., (2014). Dynamic Dependence Of The Global Islamic Equity İndex With Global Conventional Equity Market İndices And Risk Factors. Pac. Basin Finance Journal. 30, 189–206.
- Hassan, K., Girard, E., (2011). Faith-Based Ethical Investing: The Case Of Dow Jones Islamic Indexes. Networks Financial Institute Working Paper No. 2011-WP-06, 19 Apr 2011 s:1-41
- Hussein, K., Omran, M., (2005). Ethical İnvestments Revisited: Evidence From Dow Jones Islamic Indices. Journal of Investing Volume 14, Issue 3, Pages 105-124
- Hassan, M. K., Paltrinieri, A., Dreassi, A., Miani, S., Sclip, A. (2018) “The Determinants Of Co-Movement Dynamics Between Sukuk Andconventional Bonds” The Quarterly Review of Economics and Finance 68 (2018) 73–84
- Majdoub, J., Mansour, W., (2014). Islamic Equity Market İntegration And Volatility Spillover Between Emerging And US Stock Markets. N. Am. J. Econ. Finance http://dx.doi.org/10.1016/j.najef.2014.06.011.
- Özsoy, İ. (2016), An Islamic Suggestion Of Solution To The Financial Crises, Procedia Economics and Finance 38 ( 2016 ) 174 – 184
- Paltrinieri, A., Hassan M.K., Bahoo S., Khan, A.(2019), A Bibliometric Review Of Sukuk Literatüre, International Review of Economics and Finance https://doi.org/10.1016/j.iref.2019.04.004
- Shamsuddin, A., (2014). Are Dow Jones Islamic Equity İndices Exposed To Interest Rate Risk? Economic Modelling 39, 273–281.
- Sharpe, W.F., (1965), Mutual Fund Performance, The Journal of Business, vol. 39, pp: 119-138 http://dx.doi.org/10.1086/294846 (Erişim tarihi: 15.12.2020)
- Sortino, F. A., Price, L.N. (1994), Performance Measurement In A Downside Risk Framework, The Journal of Investing Fall 1994, 3 (3) 59-64; DOI: https://doi.org/10.3905/joi.3.3.59
- Sümer, Eren (2020), Sukukun Dünyada ve Türkiye’de Gelişimi. T.C. Cumhurbaşkanlığı Strateji ve Bütçe Başkanlığı, Uzmanlık Tezi, Nisan 2020. Yayın No: 0016
- Yusof, R. M., & Majid, S. A. (2007). Stock Market Volatility Transmission İn Malaysia: Islamic Versus Conventional Stock Market. Journal of King Abdulaziz University: Islamic Economics, 20(2), 17–35.
- AAOIFI, (2008), Sukuk Resolution http://www.aaoifi.com/aaoifi_sb_sukuk_Feb2008_Eng.pdf Erişim tarihi: 04.12.2020
- Kamu Borç Yönetimi Raporu (2020), T.C. Hazine ve Maliye Bakanlığı, Erişim Tarihi: 04.01.2021 https://ms.hmb.gov.tr/uploads/2020/12/2020-KBYR-TRK-20201229_v3.pdf
There are 29 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Finance |
| Journal Section | Research Article |
| Authors | |
| Publication Date | July 1, 2021 |
| Submission Date | January 19, 2021 |
| Published in Issue | Year 2021 Volume: 20 Issue: 79 |
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